The Evening Standard directly described Leonardo DiCaprio as staying at The Lanesborough, and Oyster independently paired him with the exact hotel in a feature about suites where celebrities stayed.
Leonardo DiCaprio stayed at The Lanesborough in London before January 2016. The Evening Standard directly described DiCaprio as a guest who stayed at the hotel, while Oyster independently paired him with The Lanesborough in a feature about hotel suites used by celebrities.
Source conclusion:
The cited sources support a stay at the named hotel.
